You don't say what version of Max you have, but you should have the Mental Ray material library and the standard Max library at least. I know that when I installed Max 2011 on Vista 64 bit, there were some strange problems with where files were put, so you may want to do a search for .mat files, and see what that turns up, then relink in your Max path preferences. Oh...there are also the Architectural materials, and that's quite a library of materials in itself. And, yes, these are free libraries with Max.

I have MAX 2011 64 bit on Windows 7, on a 3-year student license. When i did a search for .mat files, i turned up a few empty folders labeled "materiallibraries" "Materials2011" "MaterialBrowser" "MaterialExplorer" and "Mats". They are all located in autodesk folders, some in "program files", and some in "users".

One folder is labeled Materials2011, under "Autodesk Shared" and has a few .XLF files, but every other folder (9 others) is either empty, or has one config settings file and that's it. A lot of these folders seem to be under Programfiles\autodesk\3dsmax2011\defaults\(DesignVIZ,DesignVIZ.mentalray,MAX.mentalray,MAX)but there are no .mat files in them.

I do have a few steam related folders that hold material folders for some games that are installed on my computer.

First of all it might sound silly but worth checking as the default material libraries displayed are dependent on what renderer you have selected in the render settings.

eg. If you are using the scanline rendrerer it wont show the mental ray dependent materials.

If the above is not the case then check in your Autodesk folder(sorry cant remember path) that the materials have indeed installed. If my memory is correct you have an option during installation if you want to install them, you may of unchecked this.